Well there is now a new bootloader though, isn't there? Would that increase your chance of bricking the player?

The Rockbox bootloader does not replace the Sansa bootloader (BL_SD_boardSupportSD.rom) Instead it replaces the firmware (PP5022.mi4) and then loads either Rockbox or the original firmware from the disk, so installing the Rockbox bootloader is as safe as doing a normal firmware upgrade.